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Dealing with WM_DESTROY while terminating a thread

Hello,
I have a small thread that I need to terminate when I send WM_CLOSE to it . I am following the MSDN directives to deal with this problem , that is I set the wnd procedure of the thread like this:

I expect the DestroyWindow(hWnd) to send WM_DESTROY to the same thread, which I manage by calling the PostQuitmessage(0) which should cause the message loop of the thread 's window to exit, that is the thread to terminate.

but what I see is, quite surprisingly, the wnd proc receives the WM_DESTROY before (and not after, as I expected) the DestroyWindow(hWnd) is called.
I am 100% sure there is no such thing as SendMessage(hWnd, WM_DESTROY,...) nor PostMessage(hWnd, WM_DESTROY, ..) around the application.
Nor is there any overriding of window handles anywere (I log any handle before using it and I never detected any undue variation of such handles).
How is it possible ?
What's even stranger is : I know, because I log almost everything, that I correctly get to DestroyWindow(hWnd) (after receiving WM_CLOSE) and that this function call succeeds, that is it returns nonzero. But this always happens a bunch of nanoseconds after receiving that misterious WM_DESTROY. After calling DestroyWindow(), no more WM_DESTROY seems to be sent....